Benfica have endured a difficult campaign this season and they currently sit fourth in the Portuguese top-flight, 13 points behind leaders Sporting Lisbon.
That has placed pressure on Jesus, who is under fire to turn things around and kickstart Benfica’s season into life.
The Europa League has been viewed as the ideal competition to do that, with Benfica facing Arsenal in the last-32 at two neutral venues.
But Jesus said: “There is no lifeline.
“Benfica qualified for the Europa League and we had a very good group stage without any defeats, and we intend to go as far as possible in this competition.
“We will face an opponent who also has ambitions in this competition – it’s a good thing we’re here, it’s a sign that we’re competing.
“This is not a lifeline. Benfica are in the Europa League and wants to go as far as possible.
“These competitions are always ideal, because they are the ones where the big teams are. Benfica will play with Arsenal, who are a great team.”